Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0636
Annualized Std Dev 0.2621
Annualized Sharpe (Rf=0%) 0.2428

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1381
Quartile 1 -0.0065
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0078
Maximum 0.1610
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0165
Skewness 0.3121
Kurtosis 7.7696

Downside Risk

Close
Semi Deviation 0.0116
Gain Deviation 0.0122
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.8205
Historical VaR (95%) -0.0263
Historical ES (95%) -0.0388
Modified VaR (95%) -0.0227
Modified ES (95%) -0.0242
From Trough To Depth Length To Trough Recovery
2000-03-28 2002-10-09 2017-11-28 -0.8205 4447 636 3811
2020-02-20 2020-03-23 2020-06-10 -0.3151 78 23 55
2018-10-04 2018-12-24 2019-04-08 -0.2411 127 56 71
2020-09-03 2020-09-23 2020-12-16 -0.1289 73 14 59
1999-02-02 1999-03-02 1999-04-05 -0.1280 43 20 23

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.1 -0.5 1.6 -0.8 -2.2 1.1 -1 0.5 -0.6 -0.1 1 -0.3 -1.4
2000 2.1 1 1.9 1.4 4.5 2 -1.7 -0.1 -4.3 -1.9 1.3 -3.2 2.7
2001 -0.1 2.8 -0.6 2.4 1.7 2.4 2.7 0.8 -1.3 3.5 -0.2 -2.3 12.3
2002 -1.9 5 1.1 -0.8 -1.1 -4.2 -4.4 -2.5 5.4 3 -0.6 -0.5 -2.2
2003 -0.1 1.5 1.2 1 1.4 1.4 -0.5 0.3 2.2 0.1 1 -0.1 9.7
2004 0 1.2 1 -2.1 -0.7 -1.8 0.2 0.8 2.5 0.8 2 -0.2 3.8
2005 0.6 1.2 -0.9 0.9 1 0.3 0 -0.2 0.7 -0.2 1.5 -0.7 4.3
2006 0.6 2 -0.6 -0.8 1.7 -0.5 -1.4 0.4 -0.3 -0.5 -0.9 -0.3 -0.7
2007 -0.4 0.1 -0.2 0.5 0 -0.4 1 0.7 1.1 -1.1 -0.5 -0.7 -0.1
2008 1.7 -2 2.9 4.2 0.6 -0.7 -1.1 -2.2 -0.9 -0.6 -7.2 1.2 -4.5
2009 -3 -0.7 2.8 1.3 2.8 0.4 -0.4 -2 -3 -2.6 1.6 -0.9 -3.7
2010 1.1 1.3 -0.2 -2.1 -1 -0.4 -0.4 2.6 0 0.1 2.1 -0.1 3
2011 1.7 -1.9 -0.2 -0.1 -2.1 1.6 -0.1 -1.1 -2.5 -2.8 0.5 -0.3 -7.1
2012 1 0.6 -0.3 0.3 -2.6 2.8 -0.3 0.8 -0.2 1.6 -0.1 1.7 5.3
2013 1.1 0.2 -0.7 -0.9 -0.9 0.5 1.1 -0.5 0.9 0 0.4 0.6 1.9
2014 0.2 0.1 1.2 0.1 0.1 1 -0.5 0.4 -1.6 1.6 -1.1 -1.1 0.4
2015 -1.2 -0.3 -0.1 1.2 0.3 0.7 -0.3 -3.2 0.1 -0.7 0.9 -1.4 -4.2
2016 0.4 3 0.8 -0.9 -0.2 0.2 0.2 0.3 0.5 -0.9 -2.1 -0.8 0.5
2017 0.8 1.4 -0.2 0.8 0.2 -0.1 0.5 -0.1 0.7 0 -0.5 -0.5 3
2018 0.1 -1.7 2 1.3 1.7 0 0.9 0.1 0.5 1.2 1 0.9 8.1
2019 0.6 0.7 1.4 -0.3 -1.7 1.6 -0.5 0 -0.9 1.2 -0.3 0.3 2
2020 -2.7 0.8 -4.8 -2.7 0 0.2 2.5 1.9 1.1 -2.2 1.3 0.1 -4.8
2021 2.5 3.2 -0.3 NA NA NA NA NA NA NA NA NA 5.5

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart